Li Nian, Yuan Runsen, Khan Muhammad Asif, Yang Xiaofeng, Khaliq Nosherwan, Zhang Xi
School of Economics and Management, Yanshan University, 066004, Qinhuangdao, Heibei Province, China.
Department of Commerce, University of Kotli AJK, Pakistan.
Heliyon. 2023 Aug 15;9(9):e19100. doi: 10.1016/j.heliyon.2023.e19100. eCollection 2023 Sep.
This article empirically tested the impact of investors' site visits on capital market pricing efficiency. Leveraging the data from 2009 to 2022 of Shenzhen Stock Exchange's listed companies, we found that: (1) Investors' site visits could reduce stock price synchronicity, indicating improved pricing efficiency of the capital market. (2) The mechanisms tests showed that: investors could obtain private incremental information through site visits. (3) The conclusions remained intact after robust tests, including alternative key variables, samples and specifications, and various endogenous treatments. (4) Investors added arbitrage trading behavior after the site visit without significantly impounding industry-level information into the stock price. This paper enriched the knowledge of how site visits of different investment entities affect capital market pricing efficiency.
本文实证检验了投资者实地调研对资本市场定价效率的影响。利用深圳证券交易所2009年至2022年上市公司的数据，我们发现：（1）投资者实地调研能够降低股价同步性，表明资本市场定价效率得到提高。（2）机制检验表明：投资者能够通过实地调研获取私有增量信息。（3）在包括替代关键变量、样本和规格以及各种内生性处理的稳健性检验之后，结论依然成立。（4）投资者在实地调研后增加了套利交易行为，且未将行业层面的信息显著纳入股价。本文丰富了不同投资主体的实地调研如何影响资本市场定价效率的相关知识。
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